Bayesian Circular Lattice Filters (BCLF)

The time-varying vector autoregressive (TV-VAR) model is a well-established model for multivariate nonstationary time series. However, the large number of parameters results in a high computational burden in the TV-VAR model fitting. Hence, the Bayesian Circular Lattice Filters are a computationally efficient algorithm to sort this issue out.

Further reading

• Sui, Y., Holan, S. H., & Yang, W.-H. (2023). Bayesian circular lattice filters for computationally efficient estimation of multivariate time-varying autoregressive models. Computational Statistics & Data Analysis, 181:107690. (link)

Bayesian Lattice Filters (BLF)

The code and examples of the BLF for time-varying autogressive models are avaialbe online.